Coverart for item
The Resource Student's t-Distribution and related stochastic processes, Bronius Grigelionis

Student's t-Distribution and related stochastic processes, Bronius Grigelionis

Label
Student's t-Distribution and related stochastic processes
Title
Student's t-Distribution and related stochastic processes
Statement of responsibility
Bronius Grigelionis
Creator
Subject
Language
eng
Summary
This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student's distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student's t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student's t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar's theorem are explained
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1935-
http://library.link/vocab/creatorName
Grigelionis, B.
Dewey number
519.2/3
Illustrations
illustrations
Index
index present
Language note
English
LC call number
QA274
LC item number
.G75 2013
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
SpringerBriefs in statistics,
http://library.link/vocab/subjectName
  • Stochastic processes
  • t-test (Statistics)
  • MATHEMATICS
  • MATHEMATICS
  • Stochastic processes
  • t-test (Statistics)
  • t-Verteilung
  • Lévy-Prozess
  • Diffusionsprozess
Label
Student's t-Distribution and related stochastic processes, Bronius Grigelionis
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Asymptotics
  • Preliminaries of Lévy Processes
  • Student-Lévy Processes
  • Student OU-Type Processes
  • Student Diffusion Processes
  • Miscellanea
Control code
811563993
Dimensions
unknown
Extent
1 online resource (xi, 99 pages)
File format
unknown
Form of item
online
Isbn
9783642311468
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-31146-8
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
394334
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)811563993
Label
Student's t-Distribution and related stochastic processes, Bronius Grigelionis
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Asymptotics
  • Preliminaries of Lévy Processes
  • Student-Lévy Processes
  • Student OU-Type Processes
  • Student Diffusion Processes
  • Miscellanea
Control code
811563993
Dimensions
unknown
Extent
1 online resource (xi, 99 pages)
File format
unknown
Form of item
online
Isbn
9783642311468
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-31146-8
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
394334
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)811563993

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      38.944491 -92.326012
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